System and Method for Computing and Displaying Effective Bid and Ask Information

ABSTRACT

A data feed from an electronic exchange carries certain pieces of market information. Software at the trading station receives the data feed and computes an effective bid price and/or an effective ask price based on a particular quantity to trade. Then, the effective bid price and/or effective ask price are indicated to the user. An effective bid price is an average price at which a certain quantity could be sold based on current market conditions. An effective ask price is an average price at which a certain quantity could be bought based on current market conditions. Depending on the available quantities in the market, the effective prices may represent spreads different from the actual spread of the inside market. This information may be used to, among other things, make more accurate trades at prices. Additionally, a derivative of price, such as yield, may be used to compute other types of effective bid and/or ask information.

CROSS REFERENCE TO RELATED APPLICATION

This application is a continuation of U.S. patent application Ser. No.10/876,409, filed Jun. 25, 2004, entitled “System and Method forComputing and Displaying Effective Bid and Ask Information”, nowpending, the contents of which are fully incorporated herein byreference for all purposes.

TECHNICAL FIELD

The present invention relates to the visual output of information in anelectronic trading environment, in which computer-based trading stationsare used to interface with an electronic exchange. In particular, thepresent invention relates to computing and displaying effective bidand/or ask information.

BACKGROUND

Many mental calculations are made during the course of a trading day.While some of those decisions can be determined by specially programmedcomputers, many are still made by the trader, himself. The mental burdenand stress can be especially high during times when prices andquantities in the market are changing.

To reduce this burden, much time and money have been spent on developingbetter and more intuitive graphical user interfaces, which are run ontrading stations used to interface with an electronic exchange.Accordingly, market information is processed and arranged on thesespecialized trading interfaces in way that reduces the mental effortrequired of a person to visualize the market, ultimately increasing thespeed at which a trader can visualize the market's movement.

In particular, an electronic exchange generates and publishes marketdata to its customers, who sit behind the trading stations. The marketdata is received by the trading stations, which are listening forspecific market data. The market data generally contains, among otherthings, quantity and price information. Software running on the tradingstations receives the data, processes it, and presents it to the user ona screen in a particular format. Some kinds of software and/or hardwareare specially designed to assist the user in assimilating andvisualizing the market through its visual output display.

FIG. 1 illustrates one type of trading screen that provides anespecially intuitive display of the market. In particular, a value axis104 is generated based on certain conditions in the market. The valueaxis 104 displays a graduated scale in price, although other valuescould be used instead of price, such as implied volatility or netchange, for instance. Once the value axis 104 is generated, quantity andprice information contained in the market data feed is used to populatethe display against the value axis 104. As new quantity and priceinformation arrive, the trading screen is updated to reflect the marketchanges. The intuitiveness of the trading screen results from, amongother things, the dynamic display of aggregated quantities, collectivelyshown as 102, against the generated value axis 104. Locations are, inessence, fixed in relation to the value levels, so that as the marketclimbs or drops in value, the user can quickly view these marketchanges. Generally speaking, the value levels along the value axis 104change only when a re-centering command is received or when the tradermanually scrolls along the value axis 104.

As shown in FIG. 1, bid quantities are displayed at locations in the“Bid” column and ask quantities are displayed at locations in the “Ask”column. By looking at the trading screen in FIG. 1, the user can quicklylocate the inside market, which refers to the highest bid price and thelowest ask price, at a price of “230” and “232,” respectively. Further,the trader can view how much quantity—e.g., bid and ask quantity—iscurrently available in the market at the inside market and at otherprice levels. The quantity available in the market is referred to hereinas market depth. The quantity available at the inside market may beconsidered the first level of market depth. The quantity available atthe next best prices may be considered the second level of market depth,and so on. Generally, the electronic exchange limits the amount ofmarket depth provided in its market data feed. Most often, this is doneto reduce network bandwidth consumption.

To enter an order using the trading screen shown in FIG. 1, a user canpreset a quantity, and with an input device, select a cell in the “Bid”or “Ask” columns associated with the desired price of the order. Forinstance, the preset quantity is currently set to “105.” Now, if thecell associated with the price of “229” is selected in the “Bid” column(it just so happens that a quantity of “25” is already in the market,and accordingly, displayed in the cell), then an order to buy “105” at aprice of “229” would be sent to the electronic exchange. If the cellassociated with the price of “232” is selected in the “Ask” column (itjust so happens that a quantity of “56” is already in the market), thenan order to sell “105” at a price of “232” would be sent to theelectronic exchange. Orders may be sent at other price levels too. Thetrading screen allows for fast order entry, but any kind of order entrysystem may be used to submit buy and sell orders to the electronicexchange.

A trading screen similar to that shown in FIG. 1 is commerciallyavailable as MD Trader™ in the X_Trader® product offered by TradingTechnologies International, Inc. of Chicago, Ill. Moreover, variousaspects of the trading screen in FIG. 1, including the dynamic movementof the bid and offer indicators against a static axis, are described inU.S. patent application Ser. No. 09/590,692, filed on Jun. 9, 2000, andentitled, “Click Based Trading With Intuitive Grid Display of MarketDepth.” Adjustable viewing of the axes, including the consolidation ofprice levels, is described in U.S. patent application Ser. No.09/971,087, filed on Oct. 5, 2001, and entitled, “Click Based Tradingwith Intuitive Grid Display of Market Depth and Price Consolidation.” Avariety of trading tools that can be used with the trading screen toassist in visualizing the market are further described in U.S. patentapplication Ser. No. 10/125,894, filed on Apr. 19, 2002, and entitled,“Trading Tools for Electronic Trading.” The entire content of each ofthe above-referenced applications is incorporated herein by reference.

Many advances, including the development of the intuitive trading screenfound in FIG. 1, have been made in the field of electronic trading. Asrecognized by those in the field, among others, it is increasinglyimportant to have a system of making the most accurate and calculatedtrades possible in the most efficient manner. It is therefore desirablefor electronic trading systems to offer tools that can assist a traderin trading in an electronic marketplace, and help the trader to maketrades at the most favorable prices in a speedy and accurate manner.

BRIEF DESCRIPTION OF THE DRAWINGS

Many aspects of the preferred embodiments may be better understood withreference to the following drawings. The components in the drawings arenot necessarily to scale, emphasis instead being placed uponillustrating example embodiments. Also, the same numbers, if any, referto the same elements throughout.

FIG. 1 is an illustration of an intuitive trading display that is aresult of a graphical user interface which is operatively run on atrading station and used in trading at an electronic exchange;

FIG. 2 is a block diagram of an example system that utilizes thepreferred embodiments to compute and display effective price informationon a trading display;

FIG. 3 is a flowchart for illustrating an example process of computingand displaying effective price information in accordance with thepreferred embodiments;

FIG. 4 is an illustration of an example trading display that indicateseffective price information to the user of the display in accordancewith the preferred embodiments;

FIG. 5 is an illustration of the example trading display shown in FIG.4, in which effective price information for either the sell side or thebuy side is displayed in accordance with the preferred embodiments;

FIG. 6 is an illustration of a portion of the example trading displayshown in FIG. 4, in which effective price information is indicated forseveral, yet different quantity levels in accordance with the preferredembodiments;

FIG. 7 is an illustration of a portion of the example trading displayshown in FIG. 4, in which effective price information is plotted as afunction of quantity on the display in accordance with the preferredembodiments;

FIG. 8 is an illustration of a portion of an example trading display, inwhich several, yet different quantity levels are shown with theireffective price information along an axis, without displaying actualprices and quantities in the market; and

FIG. 9 is an illustration of a portion of an example trading display, inwhich quantity levels are consolidated into groups and are shown withtheir effective price information along an axis.

DETAILED DESCRIPTION I. Overview

The preferred embodiments are appropriate for use in electronic tradingenvironments, and particularly with those, in which, an electronicexchange provides market depth in its data feed. Accordingly, a systemand method are presented herein that can look beyond quantity levels atinside market prices and into additional market depth levels to computeand convey effective bid and/or ask prices. An effective bid price is anaverage price at which a certain quantity could be sold based on currentmarket conditions. An effective ask price is an average price at which acertain quantity could be bought based on current market conditions. Aneffective bid/ask spread is the difference between the effective bidprice and the effective ask price. Various example embodiments arepresented herein to illustrate different aspects of the preferredembodiments. The preferred embodiments may, however, be embodied in manydifferent forms and should not be construed as limited to the exampleembodiments set forth herein.

While the preferred embodiments compute and convey effective bid and/orask prices, there might be times when another variable is of interest,such as a derivative of price. A derivative of price refers to anythingthat bears some relationship to price, examples of which include netchange, yield, profit and loss, volatility, momentum indicators, andmore. For instance, yield may be of more interest to someone tradingbonds. As such, the concept of an effective bid price and an effectiveask price may be extended to an effective bid yield and an effective askyield, respectively. In one example, yield may be found by therelationship: yield=(Coupon Amount)/(Price). Thus, if the market data isgiven in yield numbers rather than prices, the corresponding pricelevels could be calculated, which may be used to compute effective bidand/or ask prices. Then, the effective bid and/or ask yield may becomputed from the effective bid and/or ask prices. Other yield-to-pricerelationships may be used. Accordingly, any derivative of price may beused as an alternative to price.

As used herein, the term “tradable object” refers to anything that canbe traded with a quantity and/or a price. It includes, but is notlimited to, all types of traded events, goods and/or financial products,which can include, for example, stocks, options, bonds, futures,currency, and warrants, as well as funds, derivatives and collections ofthe foregoing, and all types of commodities, such as grains, energy, andmetals. The tradable object may be “real,” such as products that arelisted by an exchange for trading, or “synthetic,” such as a combinationof real products that is created by the user. A tradable object couldactually be a combination of other tradable object, such as a class oftradable objects.

Other features and advantages of the preferred embodiments will becomeapparent to one with ordinary skill in the art upon examination of thefollowing drawings and description. It is intended that all suchfeatures and advantages be included within the scope of the presentinvention, and be protected by the accompanying claims. Further, it willbe appreciated by those of ordinary skill in the art that the systems ofthe preferred embodiments may be provided as methods or computerreadable program means.

II. Example System Architecture

FIG. 2 shows an example computer system, referred to as trading station200, which includes a trading application 202 coupled to an applicationprogram interface (API) 204, an input device interface 206, and adisplay device interface 208. The various components in the computersystem may be coupled by way of a bus (not shown). It will beappreciated by those of ordinary skill in the art that the preferredembodiments are not limited by the system architecture shown in FIG. 2,including the computer system and the network topology.

In a preferred embodiment, the trading application 202 representssoftware stored in memory that when executed can arrange and display(with the help of the display device 214) information in accordance witha preferred embodiment. The trading application 202 can send signalsthrough the display device interface 208 to the display device 214,which might include a cathode-ray tube (CRT), a liquid crystal display(LCD), plasma display, or some other type of monitor. The tradingapplication 202 can also receive signals from an input device 212, suchas a mouse or keyboard, via the input device interface 206.

The trading application 202 communicates through the API 204 to thegateway 216 on a local network, which in turn communicates with theelectronic exchange 210. While the gateway 216 is usually located at thecustomer site on the local network, it may instead be located at theexchange 210 or some other network access point. In some instances, aparticular gateway contains software produced exclusively by or for theelectronic exchange to which the gateway connects. The trading station200 and the gateway 216 may use middleware to communicate across thelocal network. Any messaging scheme can be used to communicate acrossthe local network, such as unicast or multicast messaging.

The gateway 216 can communicate with the electronic exchange 210 overany type of connection. The exchange connection might include a TCP/IPconnection, in which TCP/IP is a well-known suite of protocols. Ofcourse, other types of the protocols, including proprietary ornonproprietary, can be utilized. It is also understood that otherhardware and software packages can lie between the trading station 200and the electronic exchange 210. These may include third-party machinesand devices, third-party networks, hardware and/or softwareconfigurations specific to the customer site and security measures likefirewalls, hubs, security managers, and routers.

According to a preferred embodiment, the electronic exchange 210disseminates a market data feed to the trading station 200 through thegateway 216, which is then distributed over the local network to thetrading station 200. While the actual content of the data feed and theparticular message format may depend on the exchange 210, mostelectronic exchanges provide similar data. Accordingly, a market datafeed may carry items such as the inside market prices, marketdepth—e.g., quantity available at particular price levels including theinside market prices, the last traded quantity (LTQ), the last tradedprice (LTP), settlement price, yesterday's closing price, and so on. Thenumber of items in a market data feed, including the number of marketdepth levels, is often dependent on the electronic exchange 210.

The trading application 202 receives the market data feed, in one formor another, processes the information, and displays it on the displaydevice 214, in accordance with the preferred embodiments. Based on theinformation, traders may respond by taking actions which are inputthrough the input device 212, such as sending buy or sell orders,deleting orders, setting order parameters, among many other things.

Additionally, automated or semi-automated trading tools collectivelyreferred to herein as automated trading tools, may use the effectiveprice information. An automated trading tool might be a part of thetrading application 202, a standalone software application (not shown inFIG. 2) running on the trading station 200, and/or a softwareapplication running (also not shown in FIG. 2) on the gateway 216 orsome other device. Irrespective of where the automated trading tool isexecuted, the automated trading tool may be programmed to receive theeffective price information and take action on the information. Forinstance, an automated trading tool, referred to as the “automatedtrader,” may use the effective price information in implementing aparticular trading strategy. The “automated trader” is described in U.S.patent application Ser. No. 10/284,584, filed on Oct. 31, 2002, andentitled, “System and Method for Automated Trading,” the contents ofwhich are incorporated herein by reference.

III. Example Process

The process of computing and displaying the effective price informationin accordance with the preferred embodiments is performed by the tradingapplication 202. As such, the process may be embodied in the form of acomputer program product that is stored on a computer readable storagemedium and is executed by a suitable instruction system in the computerdevice. Any suitable computer readable medium may be utilized includinghard disks, CD-ROMS, optical storage devices, magnetic storage devices,or any type of known computer readable medium. It is also understoodthat the preferred embodiments may be implemented in an entirelyhardware embodiment, or in a combination of software and hardware.

FIG. 3 is a flowchart that illustrates an example process for computingand indicating effective bid and/or ask prices. Each block in FIG. 3 mayrepresent a module, segment, or portion of code, which includes one ormore executable instructions for implementing specific logical functionsor steps in the process. Alternate implementations are included withinthe scope of the preferred embodiments in which functions may beexecuted out of order from that shown or discussed, includingsubstantially concurrently or in reverse order, depending on thefunctionality involved, as would be understood by those reasonableskilled in the art. Further, it is understood that some steps may notneed to be implemented to achieve the desired result.

At block 300, an input is received indicating a quantity to trade. Inone embodiment, the quantity to trade is a preset order parameter that,in a preferred embodiment, can be entered through the use of an inputdevice. Using the preset quantity, the system preferably recognizes thatthe next order will be for that quantity or amount, and if the presetquantity changes, so would the input signal. Generally speaking, eachorder sent to an electronic exchange has a quantity associated with it.The measurement of quantity is often dependent on the tradable objectand/or the electronic exchange at which it is traded. For instance, inthe futures industry, the contract size of corn at a particular exchangeis 5,000 bushels, so if a trader bought one corn contract, he reallybought 5,000 bushels. Of course, the preferred embodiments are notlimited for use with futures or any particular exchange, therefore theprecise meaning of quantity is irrelevant. Referring briefly to FIG. 1,a preset quantity of “105” is shown.

In another embodiment, an input is received indicating a number ofdifferent quantity levels or amounts to trade. That way, effective bidand/or ask prices may be computed and indicated for each of thedifferent quantity levels. The range of effective bid and/or ask pricesmay then be viewed and used, accordingly. This embodiment or variousaspects of this embodiment are described below with respect to FIGS.6-9.

At block 302, a market data feed is received. As indicated earlier, eachelectronic exchange provides a particular data feed, but each data feedpreferably contains price and quantity information for one or more depthlevels. Of course, the price can be represented in any format, includingticks, where a “tick” is the minimum amount that the price of a tradableobject can change. Accordingly, prices may be quoted in terms other thana particular dollar amount. It is also understood that a market datafeed might contain a derivative of price, instead of, or in addition tothe price information, and if so, the preferred embodiments may use thederivative of price in its computations. If the market data feed doesnot contain a derivative of price, the system may determine it (ifdesired) based on the price information and a formula.

At block 304, an effective price to buy and/or sell the tradable objectis computed. Many times, a trader is interested in trading more thanwhat is available at the inside market prices. This block preferablytakes into account the quantity that the trader is considering to trade(e.g., through the preset quantity parameter), and computing aneffective price at which he could buy and/or sell that amount. Forinstance, using the market information presented in FIG. 1 and thepreset quantity of “105,” the effective ask and bid prices can becomputed:

${{Effective}\mspace{14mu} {ask}\mspace{14mu} {price}} = {{{\frac{56}{105}(232)} + {\frac{49}{105}(233)}} = 232.46^{*}}$${{Effective}\mspace{14mu} {bid}\mspace{14mu} {price}} = {{{\frac{15}{105}(230)} + {\frac{25}{105}(229)} + {\frac{65}{105}(228)}} = 228.5238}$

The effective ask price “232.46*” represents an average price for whicha quantity of “105” could be bought, and the effective bid price“228.5238” represents an average price for which a quantity of “105”could be sold. (The “*” next to the 6 represents the repeating decimal,i.e., 232.4666666 . . . )

If a derivative of price is used (but the derivative of priceinformation is not provided in the data feed), then according to oneembodiment, the system's software preferably calculates thecorresponding price levels associated with the derivative of price(e.g., yield) and the effective price information may be computed. Then,the effective derivative of price information (e.g., effective bid yieldand effective ask yield) may be computed from the effective priceinformation.

At block 306, the effective bid and/or ask prices are visuallyindicated. The effective price information may be indicated byhighlighting the effective ask price and/or the effective bid price.Highlighting might be done by displaying a line or marker in associationwith the effective price levels, coloring the effective price levels todistinguish them from other price levels, coloring the effective pricelevels to distinguish them from other effective price levels, displayingthe numbers which represent the effective price levels, or through anyother means of visually indicating the effective price information.Examples are provided directly below.

It is also understood that the process of computing and displayingeffective price information, such as the example process set forth inFIG. 3, may be repeated as many times as needed, and the process canpreferably be initiated by a change in the preset quantity, new marketinformation, upon a signal by the user, and/or initiated by some othertrigger.

Example A

FIG. 4 illustrates a trading screen, with the same general marketinformation that was previously presented in FIG. 1, to illustrate howeffective price information might be computed and indicated based onthis market information.

As shown in FIG. 4, the bid display region 406 displays current marketbid quantities, including those of the trader using the interface, ifany. Preferably, the bid display region 406 can display direct marketbids in addition to implied market bids. In the illustrated embodiment,the current market bids are aggregate bid quantities that are displayedin association with corresponding price levels. Although numbers areused as current market bid indicators, other types of indicators may beused. For instance, color or color gradients may be used to graphicallyindicate the number of market bids. In another example, bars may be usedsuch that the length of the bars indicates the number of market bids.The indicators in the bid display region 406 may in addition, becolor-coded, segmented or otherwise differentiated to represent acorresponding number of orders and/or the trader's orders in relation toother orders in the market.

Further, the ask display region 408 displays current market offerquantities. Preferably, the ask display region 408 can display directmarket offers in addition to implied market offers. In the illustratedembodiment, the current market offers are aggregate sell quantities thatare displayed in association with corresponding price levels. Similar tothe display of market bids, other types of indicators may be used toindicate the number of market bids and or orders.

Price display region 410 indicates market prices or some derivative ofprice. Preferably arrows appear at the top and bottom of this region,and when pressed or otherwise activated, the price display region 410scrolls so that information beyond the currently viewable area on thescreen can be seen. Other methods may be used to view price levelsbeyond what is currently viewed such as receiving a re-centeringcommand, spinning a wheel on a mouse input device, or depressingprogrammed hot keys, for example.

When the market ascends or descends the value axis in the price displayregion 410, the inside market might go above or below a desired numberof the value levels. One could manually adjust which portion of theprice display region is displayed, such as described above, or one coulduse the re-centering or re-positioning feature. That is, the system willre-center or re-position the inside market (or some other item ofinterest) on the screen. There are many ways to give are-centering/re-positioning command. For instance, a button or hotkeymay be programmed so that when it is pressed, the system automaticallyre-centers or re-positions the inside market on the screen.Alternatively, when the inside market is near one of the edges of thescreen or after a preset timeout, the system may automatically re-centeror re-position the display. The system may be programmed to re-center orre-position around something other than the inside market. For example,the system may be programmed to re-center or re-position around atheoretical price value which is fed into the system from a third-partysoftware application.

A last traded quantity region 412 indicates the last traded quantity(LTQ) in association with its corresponding price level. The last tradequantity region 412 may also be used to display other useful items ofinterest. For example, preferably region 412 can be configured todisplay volume by price in bar, text, or some other format (e.g., volumebars, which indicate the volume traded at various price levels over settime period). Color, for example, may be used to differentiate timeswithin the set period of time. Of course, the LTQ may alternatively beillustrated numerically and, if desired, only the most recent LTQ may bedisplayed instead of a series of LTQs over a set period of time.

The effective bid and ask prices were computed for a quantity of “105”in an example above, and those effective prices are used again in thisexample. According to FIG. 4, the line 400 indicates an effective bidprice of “228.5,” and the line 402 is used to indicate an effective askprice of “232.5.” As market conditions change, the lines 400 and 402 canascend or descend the static price scale. In addition to the lines 400and 402, the effective bid and ask prices are displayed alongside thelines 400 and 402. Of course, color may also be used in highlighting theeffective price information.

Now, if the trader wanted to sell “105,” his effective price would be“228.5,” and not the inside market bid price of “230.” The effective bidprice is “1.5” less than the inside market bid price. If the traderwanted to buy “105,” his effective price would be “232.5,” and not theinside market ask price of “232.” While the effective ask price, in thisexample, is only “0.5” higher than the inside market ask price, thisdifference can be significant for large volume traders or traders whotrade and execute often. In addition, by looking at the trading screen,the trader can quickly assess the effective bid/ask spread, which is adifference of “2.0” greater than the actual spread. Knowing thisinformation, the trader can make better decisions about the trade.

Additionally, lines or some other indicator (not shown) may be used toindicate the highest effective price and the lowest effective price overa time period (e.g., for the last hour of trading, over the course ofthe day, over the course of the last month, etc.).

Example B

FIG. 5 illustrates the trading screen of FIG. 4, however, in thisexample, only the effective ask price of “232.5” is indicated.Alternatively, only the effective bid price of “228.5” could beindicated, which is not shown in FIG. 5. This feature might be useful insituations when it is already known if the order is going to be a buyorder or a sell order. For instance, if the trader is going to buy thepreset quantity, then an effective ask price would be indicated.Whereas, if the trader is going to sell the preset quantity, then aneffective bid price would be indicated.

In accordance with this example, the system's software might recognizeif the trader is going to buy or sell the preset quantity throughpredetermined programming or some other action. For instance, the tradercould set the preset quantity parameter and indicate whether the nextorder will be an order to buy the preset quantity or an order to sellthe preset quantity.

Example C

The feature illustrated in this example builds on the conceptsillustrated in the previous examples by computing effective bid and/orask prices for several, different quantity levels. Accordingly, thesystem's software may compute the effective bid and/or ask price forquantities at designated intervals. This feature may be useful, forinstance, in assisting a trader in accurately and quickly determiningthe price at which he would buy or sell various quantities of thetradable object.

The different quantity levels, for which effective price information iscomputed, may be directly or indirectly programmed by the user through agraphical user interface, a command line prompt, or through some othermechanism. Additional intelligence may also be added to determine thequantity levels. For instance, the quantity levels might be based on thetype of tradable object being traded, the trader's history of ordersizes, the trader's position, or any other known basis as will beappreciated by those of ordinary skill in the art. For instance, if itis common to trade a quantity of “25,” “50,” or “100,” of a particulartradable object, then the effective prices may be based on one or moreof those quantity levels. In another instance, if the trader typicallytrades a quantity of “100,” “200,” or “250,” of a given tradable object,then the effective prices may be based on one or more of those quantitylevels. In yet another instance, if the trader's position represents theamount of a tradable object either owned (a long position) or owed (ashort position) by the trader, then the effective price(s) may be basedon what it would take to close the trader's position.

FIG. 6 illustrates a portion of the trading screen shown in FIGS. 4 and5, except that effective bid and ask prices are computed and indicatedfor several, different quantity levels. For sake of illustration,effective price information is computed and displayed for quantitiesincluding “25,” “50,” “100,” and “200.” Table 1 below shows the resultsfor these selected quantity levels. It will be understood by one ofordinary skill in the art that any quantity levels may be used in thecomputation.

TABLE 1 Quantity Effective Bid Price Effective Ask Price 25 229.6 232 50229.1 232 100 228.55 232.45 200 227.91 233.34

Notice that the actual bid/ask spread in the market is “232”-“230,”whereas the effective bid/ask spread is different for each quantitylevel (however, it is also understood that the effective priceinformation may not always be different from the actual bid/ask prices).The effective price information for each quantity level can be displayedin any manner. One way to indicate the effective price information isillustrated in FIG. 6, in which, the effective price information isdisplayed in relation to the static value axis in the price displayregion 410.

Example D

FIG. 7 presents another way to indicate effective price information.According to this example, a graph is used to plot the effective priceinformation, as a function of quantity, along an axis (referred to as an“effective quantity axis” 700 for sake of description) that ispreferably perpendicular to the price display region 410. The effectivequantity axis 700 is a line graduated in linear (or nonlinear)increments, such that each increment represents a particular quantitylevel. Then, for each quantity level, an effective bid and/or ask priceis computed and plotted on the display. Line 702, which represents theeffective ask price as a function of quantity, and line 704, whichrepresents the effective bid price as a function of quantity, aredisplayed.

For ease of description, the same quantity levels and effective priceinformation, which were computed and shown in Table 1 above, are usedanother time in this example. Notice again that as the quantity levelsincrease in magnitude, the higher the effective ask price and the lowerthe effective bid price become. This results from the system's softwarehaving to look into the market depth to find available quantities thatcould possibly fill the quantity at each level. One of ordinary skill inthe art will appreciated that a graph of the effective price informationmay be displayed to the user in any particular fashion, and that thedisplay of such information is not limited to the example shown in FIG.7.

Further, colors may be used in the graph to distinguish certain quantityand price levels from each other. Then, a trader can more quickly assessthe effective price information. In addition, the graph could beprogrammed so that when a cursor is placed over a particular location ofthe curve, the effective price associated with that location ishighlighted to the user by a color, a line, a pointer, or through theuse of text (actually display the effective price associated with thatlocation).

Example E

FIG. 8 shows a portion of a trading screen that displays effective priceinformation in accordance with another example embodiment. According tothis example embodiment, the display shows effective price informationand the quantity available at such prices. It preferably does not showactual price and quantity information as do the examples shown in FIGS.4-7. According to this feature, the user would view the market in termsof the quantity he wishes to trade without the clutter of showing actualand effective price information together.

In particular, FIG. 8 shows various predetermined quantity levels 800(e.g., the same quantity levels as shown in Table 1) against aneffective price axis 802. There, the user can quickly tell that if hebought “25,” he would pay an effective price of “232.” Whereas, if hebought “100,” he would pay an effective price of “232.45.” Further, ifhe bought “200,” he would pay an effective price of “233.34.” Moreover,if he sold “25,” he would get an effective price of “229.6,” and so on.

According to this example, the effective price axis 802 is used todisplay the effective prices for each of the quantity levels. When themarket conditions change, based on new and updated market information,the effective prices may also change, in which case, the effective pricevalues along the axis 802 change. The predetermined quantity levels mayremain the same until they are too changed. In other words, the quantitylevels remain at the same location on the display (e.g., such as shownin the figure), but the prices along the effective price axis 802 aredynamically updated to reflect a change in the effective prices.

In another example, an effective price axis 802 may be generated witheffective price levels displayed along the axis 802 in evenly graduatedincrements (not shown in FIG. 8, but similar axes are shown in FIGS.4-7). As the effective prices change for the designated quantity levels,the various quantity indicators 800 would move, relative to theeffective price axis 802, to a location associated with the neweffective price levels. As such, the user could tell when the effectiveprices have gone up or down in value for a particular quantity level.

In yet another example, when quantity levels share the same effectiveprice, the two quantity levels may be summed together and indicatedalong with the effective price. For example, referring to FIG. 8, thequantity levels of “25” and “50” have an effective ask price of “232.”As such, the quantity levels could be combined to “75” with an effectiveprice of “232,” (this is not shown in FIG. 8). If in the future, thequantity levels have different effective prices, they may again be splitup. This particular feature may be employed in systems that use a staticaxis of display or not.

Example F

FIG. 9 shows a portion of a trading screen that displays effective priceinformation in accordance with yet another embodiment. In particular,the quantity that is available in the market is consolidated into groupsof a certain size. In one example, the size of each consolidated groupis determined by a designated quantity or amount, which is preferablyadjustable. Once the size is known, the system can consolidate thequantity into groups of equal size and then compute the effective pricefor each group.

For example, the designated size in this example is “25.” To illustratethis example embodiment, the market information pre-consolidation isshown in FIG. 4. Now, referring to FIG. 9, three levels of consolidationare computed and indicated at 900 (three levels for the bid-side andthree levels for the ask-side) along the effective price axis 902, butmore or fewer levels may be computed and indicated in a similar manner.After consolidation, which is shown in FIG. 9, the user can quickly viewthat if he sold “25,” he would get “229.6.” And if he sold “25” again,he would get “228.6,” and so on. Similarly, he can do the same with theopposite side of the market. The quantity consolidation feature may beused to condense a quantity into a more manageable number of groups,each with an effective price to buy or sell the quantity in the group.The effective price information may then be presented along theeffective price axis 902.

To compute the effective prices shown in FIG. 9, starting at the bidside (and looking at the market information presented in FIG. 4): aquantity of “15” at “230” and a quantity of “10” at “229” are used tocalculate an effective price of “229.6” for the first group of “25.” Theremaining quantity of “15” at “229” and a quantity of “10” at “228” areused to calculate an effective price of “228.6” for the second group of“25.” Then, a quantity of “25” at “228” gives an effective price of“228.” For the ask side: a quantity of “25” at “232” gives an effectiveprice of “232” for the first group of “25.” A quantity of “25” at “232”also gives an effective price of “232” for the second group of “25.”Then, a quantity of “6” at “232” and a quantity of “19” at “233” areused to calculate an effective price of “232.8.” Additional levels maybe computed.

IV. Conclusion

A system and method are provided herein to compute and display effectiveprice information. Effective price information provides the user with amore accurate representation of what the user would pay or get fortrading a particular quantity under the current market conditions. Theuser may then quickly determine, preferably with reduced mental effort,the prices at which possible orders would get filled.

Additionally, the concepts of effective bid and/or ask prices may beextended to computing effective bid and/or ask yields or some othereffective bid and/or ask information. As such, effective information maybe computed using any derivative of price.

The effective price information may be indicated to the user throughsome graphical interface and/or it may be used by automated tradingtools. For instance, if used by an automated trading tool, the effectiveprice information might be relayed to the tool for use in the tool's owncalculations. In such instances, the effective price information mightnot need to be displayed.

It should be understood that the programs, processes, methods andapparatus described herein are not related or limited to any particulartype of computer or network apparatus (hardware or software), unlessindicated otherwise. Various types of general purpose or specializedcomputer apparatus may be used with or perform operations in accordancewith the teachings described herein. While various elements of thepreferred embodiments have been described as being implemented insoftware, in other embodiments hardware or firmware implementations mayalternatively be used, and vice-versa.

The claims should not be read as limited to the described order orelements unless stated to that effect. Therefore, all embodiments thatcome within the scope and spirit of the following claims and equivalentsthereto are claimed as the invention.

1. A method for identifying effective bid and ask prices in anelectronic trading environment, the method comprising: computing aneffective ask price and an effective bid price for each of a pluralityof quantity levels via a trading device according to market informationfor a tradable object; generating columnar price levels for the tradableobject on a display via the trading device; generating an effective bidprice indicator for each effective bid price on the display via thetrading device, each effective bid price being displayed at an effectivebid price level of the columnar price levels corresponding to theeffective bid price; generating an effective ask price indicator foreach effective ask price on the display via the trading device, eacheffective ask price being displayed at an effective ask price level ofthe columnar price levels corresponding to the effective ask price; andgenerating a spread indicator for each quantity level via the tradingdevice, the spread indicator being generated between the effective bidprice and the effective ask price for the corresponding quantity levelof the plurality of quantity levels.
 2. The method of claim 1 furthercomprising: receiving a user command via the trading device to selectone of the columnar price levels; and submitting an order for thetradable object at a price corresponding to the selected one of columnarprice levels.
 3. The method of claim 1 where the effective ask price andthe effective bid price for a corresponding quantity level are based onat least the corresponding quantity level.
 4. The method of claim 3where the effective ask price and the effective bid price for acorresponding quantity level are further based on the market informationfor the tradable object.
 5. The method of claim 4 where the marketinformation for the tradable object comprises an inside market for thetradable object.
 6. The method of claim 1 further comprising generatinga highest bid indicator at a highest bid level of the columnar pricelevels corresponding to a highest bid price for the tradable object, alowest ask indicator at a lowest ask level of the columnar price levelscorresponding to the lowest ask price for the tradable object, and anoutside order indicator at an outside level of the columnar price levelscorresponding to at least one order for the tradable object availableoutside of an inside market.
 7. The method of claim 1 further comprisingcomputing an additional effective bid price and an additional effectiveask price based on new market information for the tradable object. 8.The method of claim 1 where the effective bid price and the effectiveask price identify a trade price at which the corresponding quantity ofthe plurality of quantity levels could be traded based on the marketinformation.
 9. The method of claim 1 where each effective bid priceindicator comprises a corresponding bid line and each effective askprice indicator comprises a corresponding ask line.
 10. The method ofclaim 1 where each effective bid price and each effective ask pricecomprise any of a number, a color-coding, a graph, and combinationsthereof.
 11. The method of claim 1 where the columnar price levelscomprises a price axis.
 12. The method of claim 11 where the price axiscomprises a static axis of values.
 13. The method of claim 12 wherevalues of the static axis of values do not change on the display unlessa re-centering command is received.
 14. A non-transitory computerreadable medium having code stored thereon, which when executed by aprocessor, causes the processor to carry out acts comprising: computingan effective ask price and an effective bid price for each of aplurality of quantity levels according to market information for atradable object; generating columnar price levels for the tradableobject on a display; generating an effective bid price indicator foreach effective bid price on the display, each effective bid price beingdisplayed at an effective bid price level of the columnar price levelscorresponding to the effective bid price; generating an effective askprice indicator for each effective ask price on the display, eacheffective ask price being displayed at an effective ask price level ofthe columnar price levels corresponding to the effective ask price; andgenerating a spread indicator for each quantity level, the spreadindicator being generated between the effective bid price and theeffective ask price for the corresponding quantity level of theplurality of quantity levels.
 15. The non-transitory computer readablemedium of claim 14 where the acts further comprise submitting an orderfor the tradable object at a price corresponding to a selected pricelevel of the columnar price levels.
 16. The non-transitory computerreadable medium of claim 14 where the effective ask price and theeffective bid price for a corresponding quantity level are based on atleast the corresponding quantity level and on the market information forthe tradable object, the market information including an inside marketfor the tradable object.
 17. The non-transitory computer readable mediumof claim 14 where the acts further comprise generating a highest bidindicator at a highest bid level of the columnar price levelscorresponding to a highest bid price for the tradable object, a lowestask indicator at a lowest ask level of the columnar price levelscorresponding to the lowest ask price for the tradable object, and anoutside order indicator at an outside level of the columnar price levelscorresponding to at least one order for the tradable object availableoutside of an inside market.
 18. The non-transitory computer readablemedium of claim 14 where the effective bid price and the effective askprice identify a trade price at which the corresponding quantity of theplurality of quantity levels could be traded based on the marketinformation.
 19. The non-transitory computer readable medium of claim 14where each effective bid price and each effective ask price comprise anyof a line, number, a color-coding, a graph, and combinations thereof.20. The non-transitory computer readable medium of claim 14 where thecolumnar price levels comprises a static axis of values, where values ofthe static axis of values do not change on the display unless are-centering command is received.
 21. A system for identifying effectivebid and ask prices in electronic trading environment, the systemcomprising: a processor configured to determine an effective ask priceand an effective bid price for each of a plurality of quantity levelsaccording to market information for a tradable object; and a displaycoupled with the processor and configured to display: columnar pricelevels for the tradable object, an effective bid price indicator foreach effective bid price, each effective bid price being displayed at aneffective bid price level of the columnar price levels corresponding tothe effective bid price, an effective ask price indicator for eacheffective ask price, each effective ask price being displayed at aneffective ask price level of the columnar price levels corresponding tothe effective ask price, and a spread indicator for each quantity level,the spread indicator being displayed between the effective bid price andthe effective ask price for the corresponding quantity level of theplurality of quantity levels.